jsFiddle: http://jsfiddle.net/fQvLv/1/
CSS
.level-one-left{
border:2px solid #000;
border-right:1px solid #000;
}
.level-one-right{
border:2px solid #000;
border-left:1px solid #000;
}
.level-two-left{
border:2px solid #000;
border-right:1px solid #000;
border-top:0px;
}
.level-two-right{
border:2px solid #000;
border-left:1px solid #000;
border-top:0px;
}
.left-side{
border-left:2px solid #000;
}
.right{
border-right:2px solid #000;
}
.top{
border-top:2px solid #000;
}
.bottom{
border-bottom:2px solid #000;
}
HTML
<table cellspacing="0">
<tr>
<td style="border:0"></td>
<th class="level-one-left" colspan="5">Level One</th>
<th class="level-one-right" colspan="3">Level One</th>
</tr>
<tr>
<td></td>
<th class="level-two-left" colspan="5">
<table>
<tr>
<th>Level Two</th>
<th>Level Two</th>
<th>Level Two</th>
<th>Level Two</th>
<th>Level Two</th>
</tr>
</table>
</th>
<th class="level-two-right" colspan="3">
<table>
<tr>
<th>Level Two</th>
<th>Level Two</th>
<th>Level Two</th>
</tr>
</table>
</th>
</tr>
<tr>
<th class="left-side top right">Test One</th>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
</tr>
<tr>
<th class="left-side right">Test Two</th>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
</tr>
<tr>
<th class="left-side right">Test Three</th>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
</tr>
<tr>
<th class="left-side right">Test Four</th>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
<td>Content</td>
<td>Content</td>
<td class="right">Content</td>
</tr>
<tr>
<th class="left-side right bottom">Test Five</th>
<td class="bottom">Content</td>
<td class="bottom">Content</td>
<td class="bottom">Content</td>
<td class="bottom">Content</td>
<td class="bottom right">Content</td>
<td class="bottom">Content</td>
<td class="bottom">Content</td>
<td class="bottom right">Content</td>
</tr>
</table>
It's a longer way but it should get you started..